Because it simply is not.
Let's call Covenants "factions" for now because in hindsight they kinda are.
A traditional RPG would have cross-faction relations, the ability to work for several factions (to an extent where player is a double-agent that only manipulates those factions pursuing their own personal goal).
A traditional RPG would have a morality system that would help to represent the player's own personal belief to an extent available within the established world and story. That morality system would also be intertwined with factions directly.
A traditional RPG would have multiple "endings" depending on choices taken, quest completed, NPC befriended, and so on. That would also be affected by the factions you have interacted with and the way you've interacted with them.
This "list" would go on, but I hope you got the point.
The Covenants are an illusion of choice, and it is not meaningful in any way. Because there is no payoff. You will end Shadowlands in a completely linear manner as you have always done with every expansion. You being a "Kyrian Paladin" means nothing in the long run. This is nothing like DA:O, NwN, Fallout NW, and so on.
Sadly, WoW - is not an RPG, not anymore at least. If you actually look at it skeptically you will notice that modern WoW is nothing but a quick match session-based game. Every type of content you do is repetitive, locked behind an instance. How a mythic+ run is different from, say, Heroes of the Storm quick matches with same, but rotating maps and same, but rotating Heroes participating in a short match session. Or an Arena match? Or a raid night?